Related papers: One-Switch Discount Functions
When an explicit expression for a probability distribution function $F(x)$ can not be found, asymptotic properties of the tail probability function $\bar{F}(x)=1-F(x)$ are very valuable, since they provide approximations or bounds for…
This paper considers a particular renewal-reward process with multivariate discounted rewards (inputs) where the arrival epochs are adjusted by adding some random delays. Then this accumulated reward can be regarded as multivariate…
This paper introduces CLEO, a novel preference elicitation algorithm capable of recommending complex objects in hybrid domains, characterized by both discrete and continuous attributes and constraints defined over them. The algorithm…
Building on insights of Jovanovic (1982) and subsequent authors, we develop a comprehensive theory of optimal timing of decisions based around continuation value functions and operators that act on them. Optimality results are provided…
In this paper, we study queueing systems with delayed information that use a generalization of the multinomial logit choice model as its arrival process. Previous literature assumes that the functional form of the multinomial logit model is…
Capturing the dynamics in user preference is crucial to better predict user future behaviors because user preferences often drift over time. Many existing recommendation algorithms -- including both shallow and deep ones -- often model such…
The unit selection problem is to identify a group of individuals who are most likely to exhibit a desired mode of behavior, for example, selecting individuals who would respond one way if incentivized and a different way if not. The unit…
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our…
Repair-based semantics have been extensively studied as a means of obtaining meaningful answers to queries posed over inconsistent knowledge bases (KBs). While several works have considered how to exploit a priority relation between facts…
In this paper, we consider combinatorial reinforcement learning with preference feedback, where a learning agent sequentially offers an action--an assortment of multiple items to--a user, whose preference feedback follows a multinomial…
The analysis of randomized search heuristics on classes of functions is fundamental for the understanding of the underlying stochastic process and the development of suitable proof techniques. Recently, remarkable progress has been made in…
The asymmetric switch process is a binary stochastic process that alternates between the values one and minus one, where the distributions of the time in these states may differ. Two versions of the process are considered: a non-stationary…
In consumer theory, ranking available objects by means of preference relations yields the most common description of individual choices. However, preference-based models assume that individuals: (1) give their preferences only between pairs…
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a…
Consider the object allocation (one-sided matching) model of Shapley and Scarf (1974). When final allocations are observed but agents' preferences are unknown, when might the allocation be in the core? This is a one-sided analogue of the…
Bayesian model averaging, model selection and its approximations such as BIC are generally statistically consistent, but sometimes achieve slower rates og convergence than other methods such as AIC and leave-one-out cross-validation. On the…
The variety of complex algorithmic approaches for tackling time-series classification problems has grown considerably over the past decades, including the development of sophisticated but challenging-to-interpret deep-learning-based…
The properties of a one space-dimension, one particle dynamical system under the influence of a purely dissipative force are investigated. Assuming this force depends only on the velocity, it is demonstrated, in contrast to the case of…
Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the…
Many-to-many matching with contracts is studied in the framework of revealed preferences. All preferences are described by choice functions that satisfy natural conditions. Under a no-externality assumption individual preferences can be…